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Deviations from daily uncovered interest rate parity and the role of intervention

โœ Scribed by Richard T Baillie; William P Osterberg

Book ID
117699441
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
597 KB
Volume
10
Category
Article
ISSN
1042-4431

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Significant deviations from covered interest parity were observed during the financial crisis of 2007-2009. This paper finds that before the failure of Lehman Brothers market-wide funding liquidity risk was the main determinant of these deviations measured by swap-implied US dollar (USD) interest ra